The systematic risk estimation models: A different perspective
In practice, the capital asset pricing model (CAPM) using the parametric estimator is almost certainly being used to estimate a firm's systematic risk (beta) and cost of equity as in Eq. (1). However, the parametric estimators, even when data is normal, may not yield better performance compared...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2020-02-01
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| Series: | Heliyon |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405844020302164 |